Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0047 |
| Annualized Std Dev | 0.2254 |
| Annualized Sharpe (Rf=0%) | -0.0210 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3647.0000 |
| NAs | 1.0000 |
| Minimum | -0.1539 |
| Quartile 1 | -0.0046 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0056 |
| Maximum | 0.1204 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0142 |
| Skewness | -0.7618 |
| Kurtosis | 18.9917 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0105 |
| Gain Deviation | 0.0104 |
| Loss Deviation | 0.0126 |
| Downside Deviation (MAR=210%) | 0.0149 |
| Downside Deviation (Rf=0%) | 0.0105 |
| Downside Deviation (0%) | 0.0105 |
| Maximum Drawdown | 0.7055 |
| Historical VaR (95%) | -0.0197 |
| Historical ES (95%) | -0.0355 |
| Modified VaR (95%) | -0.0207 |
| Modified ES (95%) | -0.0306 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | NA | -0.7055 | 3474 | 444 | NA |
| 2007-02-21 | 2007-03-05 | 2007-04-17 | -0.0581 | 39 | 9 | 30 |
| 2006-12-15 | 2007-01-05 | 2007-02-01 | -0.0308 | 31 | 13 | 18 |
| 2006-10-27 | 2006-11-02 | 2006-11-15 | -0.0176 | 14 | 5 | 9 |
| 2007-05-24 | 2007-05-24 | 2007-05-30 | -0.0156 | 4 | 1 | 3 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | -0.4 | -1.5 | 0.1 | -0.5 | -2.2 |
| 2007 | 0.7 | -0.4 | -0.4 | 0 | 0.6 | -0.1 | -0.4 | 1.3 | 1.5 | -2.4 | 0.3 | -0.3 | 0.4 |
| 2008 | 1.7 | -2.4 | 3.2 | 1.3 | 0 | 0 | 0.2 | -0.3 | 0.8 | 2.6 | -9.6 | 2.9 | -0.5 |
| 2009 | -2.8 | -2 | 1.9 | 1.2 | 3.2 | 1.1 | 0.6 | -1.8 | -2.3 | -2.1 | 1.1 | -0.9 | -3 |
| 2010 | 1.3 | 0.9 | 0.6 | -0.8 | -1.9 | -0.1 | 0.2 | 2.1 | 0.3 | -0.2 | 1.3 | 0.1 | 3.9 |
| 2011 | 1.4 | -1 | 0.5 | 0.1 | -1.4 | 1 | 0.1 | -0.9 | -1.4 | -2.5 | -0.1 | -0.1 | -4.3 |
| 2012 | 1.1 | 0.4 | 0.2 | 0.5 | -2 | 1.9 | -0.3 | 0.5 | 0.3 | 0.9 | -0.1 | 1.3 | 4.7 |
| 2013 | 0.4 | 0 | -0.6 | -0.9 | -1.5 | 0.5 | 0.3 | -0.7 | 0.8 | 0 | 0.3 | 0.2 | -1.2 |
| 2014 | -0.6 | 0.2 | 0.5 | 0 | 0.1 | 0.2 | -0.5 | 0.4 | -0.8 | 0.5 | -1.4 | -0.5 | -1.8 |
| 2015 | -0.5 | 0.2 | 0 | 0.5 | -0.1 | 0.3 | 0 | -2.4 | 0.1 | 0.6 | 0.4 | -0.1 | -1 |
| 2016 | 0.1 | 1.6 | -0.8 | -0.4 | 0.3 | 0.8 | -1 | -0.6 | 0.5 | -1.4 | -0.2 | 0 | -1 |
| 2017 | 0 | 0.7 | 0.3 | -0.1 | 0.9 | 0.3 | 0.4 | 0.6 | 0.4 | 0.4 | -0.3 | 0.1 | 3.6 |
| 2018 | -0.1 | -0.7 | 0.7 | -0.3 | 0.5 | -0.5 | -0.7 | -0.2 | -0.2 | 1.4 | 0 | 0.8 | 0.8 |
| 2019 | -0.1 | 0.1 | 1.4 | -0.7 | -1.1 | 0.4 | -1.9 | 0.3 | -1.3 | 1.2 | -0.6 | 0.4 | -2 |
| 2020 | -1.7 | -1.2 | -6.1 | -4.4 | 1.8 | -1.4 | -0.7 | 0.4 | 0.1 | -0.1 | 1.2 | 0.6 | -11.2 |
| 2021 | 1.2 | 2.3 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.2 |
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Price Chart
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Rolling Performance Chart
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Snail Trail Chart
